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Basel violations, volatility model variants and value at risk : optimization of performance deviations in banks
Anjum, Shahid; Qaseem, Naveeda - In: Economics and Business Letters : EBL 10 (2021) 3, pp. 240-248
Persistent link: https://www.econbiz.de/10012595918
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility
Yan, Tingjin - 2019
We formulate the open-loop control framework for time-consistent mean-variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form...
Persistent link: https://www.econbiz.de/10012898197
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
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Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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On regularized optimal execution problems and their singular limits
Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
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Dynamic portfolio allocation with time-varying jump risk
Zhou, Chunyang; Wu, Chongfeng; Wang, Yudong - In: Journal of empirical finance 50 (2019), pp. 113-124
Persistent link: https://www.econbiz.de/10012169946